#pragma once

// the only header you need to use QuantLib
#include <ql/quantlib.hpp>

using namespace QuantLib;

namespace TreasAlgo
{

class __declspec(dllexport) TsVanillaEmpOptionPricer
{

public:

	TsVanillaEmpOptionPricer();

	~TsVanillaEmpOptionPricer();

	void priceOption(
		Date		valueDate,
		Date		maturity,
		Date		vestStartDate,
		Real		underlying,
		Real		strike,
		Rate		riskFreeRate,
		Spread		dividendYield,
		Real		empLossRate,
		Volatility	volatility,
		double		&NPV,
		double		&delta,
		double		&gamma,
		double		&theta);
};

}
